Optimal Selling Rule in a Regime Switching Lévy Market | Zendy

Moustapha Pemy | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Optimal Selling Rule in a Regime Switching Lévy Market

Author(s) -

Moustapha Pemy

Publication year - 2011

Publication title -

international journal of mathematics and mathematical sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.21

H-Index - 39

eISSN - 1687-0425

pISSN - 0161-1712

DOI - 10.1155/2011/264603

Subject(s) - variational inequality , optimal stopping , mathematics , hamilton–jacobi–bellman equation , viscosity solution , bellman equation , mathematical optimization , mathematical economics , markov process , markov chain , statistics

This paper is concerned with a finite-horizon optimal selling rule problem when the underlying stock pricemovements are modeled by a Markov switching Lévy process. Assuming that the transaction fee of the sellingoperation is a function of the underlying stock price, the optimal selling rule can be obtained by solving anoptimal stopping problem. The corresponding value function is shown to be the unique viscosity solution tothe associated HJB variational inequalities. A numerical example is presented to illustrate the results

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research